Markovian Projection Method for Volatility Calibration-Reference-Cited by-同舟云学术

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Markovian Projection Method for Volatility Calibration

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Piterbarg Vladimir

Publisher

Elsevier BV

Reference15 articles.

1. Volatile volatilities;L B Andersen;Risk,2002

2. Extended Libor Market Models with Stochastic Volatility

3. Back to the future;J Andreasen;Risk Magazine,2005

4. Reconstructing volatility;M Avellaneda;Risk,2002

5. Pricing with a smile;B Dupire;Risk,1994

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1. Convergence of the Euler–Maruyama Particle Scheme for a Regularised McKean–Vlasov Equation Arising from the Calibration of Local-Stochastic Volatility Models;Springer Proceedings in Mathematics & Statistics;2024

2. Arbitrage-Free Neural-SDE Market Models;Applied Mathematical Finance;2023-01-02

3. Effective Markovian projection: application to CMS spread options and mid-curve swaptions;Quantitative Finance;2022-03-18

4. Effective stochastic volatility: applications to ZABR-type models;Quantitative Finance;2020-10-23

5. A Simple Local Correlation Model;SSRN Electronic Journal;2018

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